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The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics
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The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics (2006)The Evolving and Relative Efficiencies of…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…A test for independence based on the correlation dimension (1996)A test for independence based…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIStock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)A BEHAVIORAL MODEL OF RATIONA…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Specification Tests in Econometrics (1978)Multifactor Explanations of Asset Pricing Anomalies (1996)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)
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References

  • 1955A BEHAVIORAL MODEL OF RATIONAL CHOICE15,851 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2003The Efficient Market Hypothesis and Its Critics2,159 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Long-Term Memory in Stock Market Prices

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